scientific article; zbMATH DE number 6780619
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Publication:5360863
zbMath1467.91214MaRDI QIDQ5360863
Jalil Rashidinia, Sanaz Jamalzadeh
Publication date: 26 September 2017
Full work available at URL: http://hrcak.srce.hr/176726
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Spline approximation (41A15) Parabolic equations and parabolic systems (35K99)
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Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters ⋮ A fast method for solving a block tridiagonal quasi-Toeplitz linear system ⋮ Unnamed Item ⋮ High-order exponential spline method for pricing European options ⋮ Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
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